Cervino Capital Management LLC

Gold Covered Call Writing

Year-to-Date
N/A
Minimum Investment
50,000
Management Fee 2.00%
Performance Fee 0.00%
Annualized Volatility 11.25%
Sharpe (RFR=1%) 0.23
CAROR 3.01%
Assets 1,261,177
Worst Drawdown -13.51
S&P Correlation 0.14

Summary

Cervino Capital Management’s GOLD COVERED CALL WRITING program is a unique “beta replication” approach in that it offers “alternative beta” exposure to gold, while simultaneously utilizing options as an “alpha overlay”. Gold is sometimes considered a currency, sometimes a commodity and sometimes a store of value. This program adds another dimension by generating income from premium capture, while also providing a method to protect downside risk through the purchase of put options. Though the covered call can be utilized in any market condition, it is most often employed when the investor, while bullish on the underlying asset, feels that the asset’s market value will experience little range over the lifetime of the call contract. The investor desires to either generate additional income apart from appreciation in the value of the underlying asset, and/or provide a limited amount of protection against a decline in the underlying asset value. While this strategy can offer limited protection from a decline in price of the underlying asset and limited profit participation with an increase in asset’s price, it generates income because the investor keeps the premium received from writing the call. The covered call is widely regarded as a conservative strategy because it decreases the risk of asset ownership. Cervino Capital intends to maintain a perpetual long gold futures position by “rolling the futures contract forward” to deferred-delivery futures contracts, and writing call options on the underlying gold futures contracts either “at-the-money,” slightly “out-of-the-money” or slightly “in-the-money.” At the same time, investors can adjust through the use of notional funds their overall investment exposure by modifying leverage.